{[ promptMessage ]}

Bookmark it

{[ promptMessage ]}

Chapter 3 Homework Solutions

Chapter 3 Homework Solutions - —-i< up F JwLL a...

This preview shows pages 1–5. Sign up to view the full content.

This preview has intentionally blurred sections. Sign up to view the full version.

View Full Document

This preview has intentionally blurred sections. Sign up to view the full version.

View Full Document
This is the end of the preview. Sign up to access the rest of the document.

Unformatted text preview: —-i< up: F JwLL. a 5‘” @tﬁqwg‘ls” _"+5 0.??? 5,25% 62> "’ 3i N‘ch igﬂayﬁﬁﬁﬁ g (8 points) The stock of Ben Corporation sells for 250 per share today and does not pay a dividend. The annual effective risk free interest rate is 4%. Elaine purchases a two year straddle on Ben Corporation. You are given the following call prices for two year calls on Ben Corporation. Remember that if you need put prices that those can be found using the Put Call Parity formula. -_ Calculate the maximum loss that Elaine could incur. 571413945. :3 ’Purchm Ge at» 0. CW will . {Hike 9W 74) Wk} KW bl)“ “' i /‘ 17. (4 points) You enter into a bear spread by buying a one year call with a strike price of 105 and selling short a call with a strike price of 95. The premium for the call with a strike of 105 is 3.00 and the premium for the call with a strike of 95 is 6.00. The annual effective risk free interest rate is 4%. Calculate the range of spot prices at expiry for which this bear spread will have a positive profit. M r i i W- l I { “Lw-l-———l--—"”—‘—” 615 i ’05” f i ( 73% CALL, vii-Pr‘i/v’oil-T 00%“? W {EV L95 Q5 m?80ﬁ:me ?ﬁ-Vor\$' om - ‘ ( 3 D5. .9 O w Pmyoﬁrx: 0073M?“ "‘ " ' E u t ()0 5 give. Pfi—‘x’ofﬁ' Q0 Hf ‘9 W" 3. has”. .31 Pewter“ 0“ m ‘ 7’9ﬂ,.y&frﬁi on) 7%?”Wr —« MAK[0J K-‘5P0i> ” 802,.» s. .1 vx/ke ﬁlwwo‘i“) gt; 6?O‘T“<9 V WW J 50 ﬁmiaeeioﬂs’ua) i i ...
View Full Document

{[ snackBarMessage ]}

Page1 / 5

Chapter 3 Homework Solutions - —-i< up F JwLL a...

This preview shows document pages 1 - 5. Sign up to view the full document.

View Full Document
Ask a homework question - tutors are online